In a class of continuous-time filtering models with Gaussian limit, we provide a practical scheme of an approximation of a conditional expectation given finite-dimensional observations, in the light of the double Edgeworth expansion. Simple and explicit expressions up to the second order are...

In Japanese stock markets, there are two kinds of breaks, i.e., nighttime and lunch break, where we have no trading, entailing inevitable increase of variance in estimating daily volatility via naive realized variance (RV). In order to perform a much more stabilized estimation, we are concerned...